I solved this by going to the SharePoint site that hosts the document using a browser. I checked it out there and then checked it back in. I then opened the document on my desktop version of word. That stopped the pesky banner from appearing again.
That banner normally behaves correctly for me until I check in the file for the first time. But the problem ...
I know this is late, but I found this question because it was also driving me nuts. The best workaround I've come up with is the following:
Go to File -> Info
Click the "Check In" button
Note changes to this draft (optional) and click the box for "Keep the document checked out after checking in this version."
Powerpoint will save ...